esg {Risk}

Expected Shortfall Due To Artzner et al. (1999)

Description

Computes expected shortfall for a given ditribution

Usage

esg(spec, alpha, ...)

Arguments

spec

a character string specifying the distribution (for example, "norm" corresponds to the standard normal)

alpha

the probabilities associated with expected shortfall

...

other parameters

Value

An object of the same length as alpha, giving expected shortfall computed.

Author(s)

Stephen Chan, Saralees Nadarajah

References

S. Chan and S. Nadarajah, Risk: An R package for risk measures, submitted

P. Artzner, F. Delbaen, J. M. Eber and D. Heath, Coherent measures of risk, Mathematical Finance, 9, 1999, 203-228 <DOI:10.1111/1467-9965.00068>

Examples

esg("norm", 0.9)